 Hedging exchange rate risk in the gold market: A panel data analysisKuan Min Wang and Yuan-Ming Lee Journal of Multinational Financial Management, 2016, vol. 35, issue C, 1-23 Abstract: This study examines whether gold is used to hedge against exchange rate risks globally or exhibits different properties in the major gold-producing, gold-consuming, and key currency countries. We apply panel data from January 1999 to March 2015 to test whether the effectiveness of gold in this regard differs for these three groups of countries. Our dynamic panel threshold model results show that exchange rate fluctuations result in threshold effects and influence the hedging effectiveness of gold. Additionally, we use weekly, monthly, and quarterly data to analyze the time horizon of the hedging properties of gold. Our findings reveal that except for the results for the quarterly data, the weekly and monthly data results show that the hedge effects in the major gold-consuming countries are greater than those in the major gold-producing countries. Keywords: Asymmetries of exchange rate fluctuations; Gold exchange rate hedge; Dynamic panel threshold model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:mulfin:v:35:y:2016:i:c:p:1-23 DOI: 10.1016/j.mulfin.2016.02.001 Access Statistics for this article Journal of Multinational Financial Management is currently edited by I. Mathur and G. G. Booth More articles in Journal of Multinational Financial Management from Elsevier |
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